Abstract: The tail chain of a Markov chain can be used to model the dependence between extreme observations. For a positive recurrent Markov chain, the tail chain aids in describing the limit of a sequence of point processes , consisting of normalized observations plotted against scaled time points. Under fairly general conditions on extremal behaviour, converges to a cluster Poisson process. Our technique decomposes the sample path of the chain into i.i.d. regenerative cycles rather than using blocking argument typically employed in the context of stationarity with mixing.
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Cited in
(8)- Asymptotics of Markov kernels and the tail chain
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